PT  - JOURNAL ARTICLE
AU  - Haim Shalit
TI  - Finding Better Securities while Holding Portfolios: <em>Is Stochastic Dominance the Answer?</em>
AID  - 10.3905/jpm.2010.37.1.031
DP  - 2010 Oct 31
TA  - The Journal of Portfolio Management
PG  - 31--42
VI  - 37
IP  - 1
4099  - https://pm-research.com/content/37/1/31.short
4100  - https://pm-research.com/content/37/1/31.full
AB  - Investment managers always look for securities to improve their portfolio performance and a common mechanism is the mean-variance (MV) model. As an alternative, Shalit proposes using marginal conditional stochastic dominance (MCSD), which ensures that all risk-averse investors benefit from the selection process by establishing the relative preference among stocks conditional on holding a specific portfolio. He describes the basic MCSD rules and applies them to large portfolios. The resulting preferred stocks are compared to the selection obtained using the mean-variance criterion and the CAPM.TOPICS: Portfolio construction, portfolio theory, risk management